A note on the asymptotic variance at optimal levels of a bias-corrected Hill estimator

DOI10.1016/j.spl.2008.08.016zbMath1155.62037MaRDI QIDQ1003781

Frederico Caeiro, M. Ivette Gomes, Dinis Pestana

Publication date: 4 March 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.08.016

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G32: Statistics of extreme values; tail inference

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